Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0802
Annualized Std Dev 0.2426
Annualized Sharpe (Rf=0%) 0.3304

Row

Daily Return Statistics

Close
Observations 5235.0000
NAs 1.0000
Minimum -0.1327
Quartile 1 -0.0071
Median 0.0010
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0085
Maximum 0.0915
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0153
Skewness -0.3289
Kurtosis 5.9605

Downside Risk

Close
Semi Deviation 0.0111
Gain Deviation 0.0103
Loss Deviation 0.0114
Downside Deviation (MAR=210%) 0.0156
Downside Deviation (Rf=0%) 0.0109
Downside Deviation (0%) 0.0109
Maximum Drawdown 0.5989
Historical VaR (95%) -0.0234
Historical ES (95%) -0.0353
Modified VaR (95%) -0.0243
Modified ES (95%) -0.0443
From Trough To Depth Length To Trough Recovery
2007-07-10 2009-03-09 2011-04-28 -0.5989 960 420 540
2018-09-04 2020-03-23 2020-11-13 -0.4226 555 390 165
2000-07-18 2002-10-09 2003-11-28 -0.4028 846 559 287
2011-05-02 2011-10-03 2012-09-14 -0.2940 348 108 240
2015-06-24 2016-02-11 2016-11-14 -0.2653 353 161 192

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2000 NA NA NA NA 2.3 1 -0.3 0.8 -0.5 0.1 2.2 -2.9 2.6
2001 0.7 0.7 1.9 1.2 1.2 1.7 1.5 0.8 -0.9 1.8 -1.2 -1.7 8.1
2002 -0.6 2.5 0.1 0.7 -0.7 -2 -1.5 -0.7 3.2 2.3 -1.2 -0.1 1.8
2003 1.4 0.2 1.7 -0.1 1.8 0.7 -1.4 0.4 2.7 -0.7 1.3 -1.5 6.6
2004 0.1 1.6 1.1 -1.6 1 -1.8 0.5 0.8 2.5 0.8 0.9 -0.1 5.9
2005 0.6 0.8 -0.4 1.3 1.1 0.4 0 0 0.5 0.5 1.6 -0.6 5.9
2006 1 1.8 0.4 -1.2 1.9 0.7 -1.6 0.1 -0.9 -2 -0.4 -1 -1.2
2007 1.1 -0.5 0.4 -0.2 0.6 -0.6 0.5 0.9 2.5 -3.9 0.5 -0.8 0.4
2008 2.4 -2.1 3.7 1.9 0.3 0.1 0.1 -0.9 -1.4 4.5 -11.2 2.3 -1.2
2009 -2 -0.7 1.7 0.6 3.9 1.5 -0.4 -2.2 -3 -2.7 1.5 -1.2 -3.1
2010 1.2 2.3 0.9 -2.9 -3 -0.7 0.1 3.9 0.5 -0.7 2.2 -0.7 2.9
2011 2.3 -2 0.4 0.4 -3.2 1.6 -0.7 -2.1 -3.1 -3.5 -0.7 -0.5 -10.8
2012 2.2 0.5 -0.3 0.1 -3 2.9 -1.6 0.4 0.3 1.1 -0.2 2.2 4.4
2013 0.9 0.5 -1.3 -2.4 -1.1 1.6 1.4 -1.6 1.2 -0.4 0.1 0.2 -1.2
2014 -0.7 -0.4 1.3 0 -0.4 1 -0.5 0.6 -1.4 1.5 -1.6 -0.6 -1.3
2015 -2.2 -0.5 0 0.7 0.3 0.3 0.5 -2.9 -0.2 -0.5 0.7 -1.2 -4.9
2016 -0.5 2.2 0.4 -0.9 0.7 0.4 0.1 0.1 1.1 -1.2 -0.5 -0.4 1.4
2017 -0.1 1.8 0.2 0.6 1.9 -0.2 0.2 0.6 0.2 -0.7 -0.4 -0.8 3.4
2018 0.3 -0.3 1 0.5 0.7 -0.1 -0.1 0.4 -1.3 2.3 0.5 0.8 4.8
2019 0.1 0.9 1.1 -0.9 -1.4 0.4 -1.4 -0.2 -2 1.7 -0.7 0.1 -2.3
2020 -2.1 -1.8 -6.8 -4 1 -0.9 -0.9 1.1 1.6 -1.3 0.9 -0.2 -12.9
2021 2.5 3.6 0.8 NA NA NA NA NA NA NA NA NA 6.9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2000-05-26  45.7 SPY    138   0.0011  -0.0221  -0.0548   0.0138   0.0599       NA       NA <NA>     NA    NA       NA
2 2000-05-30  47.4 SPY    143.  0.0342   0.019   -0.0164   0.0384   0.1          NA       NA <NA>     NA    NA       NA
3 2000-05-31  47.6 SPY    143.  0.0007   0.0349  -0.0289   0.0316   0.0996       NA       NA <NA>     NA    NA       NA
4 2000-06-01  48.7 SPY    145.  0.0175   0.0361   0.0082   0.049    0.113        NA       NA <NA>     NA    NA       NA
5 2000-06-02  51.2 SPY    148.  0.0174   0.0725   0.0439   0.0476   0.110        NA       NA <NA>     NA    NA       NA
6 2000-06-05  51   SPY    147. -0.0049   0.0661   0.0375   0.0523   0.102        NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart